Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0026
Annualized Std Dev 0.2386
Annualized Sharpe (Rf=0%) 0.0108

Row

Daily Return Statistics

Close
Observations 3228.0000
NAs 1.0000
Minimum -0.1290
Quartile 1 -0.0066
Median 0.0008
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0072
Maximum 0.1460
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0150
Skewness -0.4115
Kurtosis 11.1762

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0103
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0110
Downside Deviation (0%) 0.0110
Maximum Drawdown 0.6390
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0374
Modified VaR (95%) -0.0229
Modified ES (95%) -0.0419
From Trough To Depth Length To Trough Recovery
2008-05-20 2008-11-20 2010-09-24 -0.6390 589 130 459
2010-11-05 2020-03-23 NA -0.4896 2610 2359 NA
2010-10-14 2010-10-19 2010-11-02 -0.0350 14 4 10
2010-09-27 2010-09-27 2010-09-30 -0.0099 4 1 3
2010-10-04 2010-10-04 2010-10-05 -0.0059 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA -0.7 -2.4 -0.8 -0.7 0.7 3.7 -7.1 1.7 -5.8
2009 -2.6 -4.6 3 0.3 4.3 1.6 0.2 -1 -2.5 -3.1 2.4 -0.1 -2.6
2010 2 2.1 1.8 -1.6 -1.9 0.1 1 2.5 1.6 0.2 2.2 0.5 10.8
2011 1.3 -0.7 1.6 -0.2 -1 1.1 0.3 -0.4 -4.7 -2.1 -1.1 0.3 -5.7
2012 2.6 1.6 1.6 0 -2.7 3.3 0.8 1 1.1 1.4 -0.1 1.8 12.9
2013 0.9 0.5 -0.5 -0.7 -1.6 1.5 1 0.6 1.9 0 1 0.4 5.1
2014 0.2 -0.3 0.8 0.1 -0.4 0.7 0.8 0.2 -1.4 0.5 -1.4 0.6 0.3
2015 -1.9 0.6 1 0.7 0.2 0.4 -0.1 -2.2 0.4 -0.1 0.3 0.1 -0.8
2016 -0.5 2.8 0.6 -0.1 0.2 0.7 -0.1 0.4 1.4 -0.3 -1.4 -0.3 3.3
2017 0.5 1.4 -0.2 0.5 0.6 1 0.5 0.8 0.7 0.1 -1.1 0.8 5.7
2018 -0.5 0.3 1.5 -0.7 0.5 1.6 -0.1 1 0.3 3.6 -0.1 0.1 7.8
2019 -0.7 0.4 1.4 -0.6 0.7 1.1 -1.5 0.2 -1.1 1 -0.9 0.8 0.7
2020 -1.2 -1.4 -3 -3 2.2 1.3 -0.1 0.9 1.2 -0.9 1.8 -0.3 -2.7
2021 1.5 2.1 0.7 NA NA NA NA NA NA NA NA NA 4.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-05-16  53.7 SPY    143.  0.0009   0.0271   0.0409   0.0556  -0.0571    0.221    0.500 GLD    89.1  0.0241   0.0192
2 2008-05-19  54.1 SPY    143.  0.0027   0.0184   0.033    0.0556  -0.0627    0.217    0.508 GLD    89.4  0.0033   0.0276
3 2008-05-20  52.3 SPY    142. -0.0081   0.01     0.0241   0.0439  -0.0698    0.194    0.532 GLD    90.9  0.0169   0.0645
4 2008-05-21  51.9 SPY    139. -0.0169  -0.0091   0.0112   0.0349  -0.0848    0.169    0.509 GLD    92.0  0.0117   0.0793
5 2008-05-22  52.6 SPY    140.  0.0001  -0.0212   0.013    0.0287  -0.0848    0.171    0.506 GLD    91.0 -0.0107   0.0457
6 2008-05-23  52.0 SPY    138. -0.0134  -0.0352  -0.0049   0.0023  -0.0888    0.149    0.471 GLD    91.2  0.0027   0.0239
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart